Consumption, income and cointegration

Hsiang Ling Han, Masao Ogaki

研究成果: Article査読

12 被引用数 (Scopus)

抄録

This paper examines the long-run relationship of consumption and income in the United States. It was shown by King et al. (1991) in a version of the permanent income hypothesis that log levels of consumption and income are cointegrated with a known cointegrating vector (1,-1)′. This implies a restriction that the cointegrating vector, which eliminates the stochastic trends, also eliminates the deterministic trends arising from the drift terms of difference stationary variables. Two different methodologies are used to test this deterministic cointegration restriction in this study. The first methodology is the canonical cointegrating regression proposed by Park (1992). The second methodology is testing stationarity of the difference of log consumption and log income, by assuming the cointegrating vector to be (1,-1)′. Two test statistics for the null hypothesis of stationarity are employed. One is the G(p,q) test proposed by Park and Choi (1988) and the other is proposed by Kwiatkowski et al. (1992). The results of the study indicate that the deterministic cointegration restriction cannot be rejected. JEL: E21, C32

本文言語English
ページ(範囲)107-117
ページ数11
ジャーナルInternational Review of Economics and Finance
6
2
DOI
出版ステータスPublished - 1997
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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